The Vasicek Model and Estimation of its Parameters

KAFKOVÁ, Silvie and Lenka KŘIVÁNKOVÁ. The Vasicek Model and Estimation of its Parameters. In Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers. Brno: Masaryk University, 2012, p. 24-29. ISBN 978-80-210-5778-4.

Basic information

Original name

The Vasicek Model and Estimation of its Parameters

Authors

KAFKOVÁ, Silvie (203 Czech Republic, guarantor, belonging to the institution) and Lenka KŘIVÁNKOVÁ (203 Czech Republic, belonging to the institution)

Edition

Brno, Workshop of the Jaroslav Hájek Center and Financial Mathematics in Practice I, Book of short papers, p. 24-29, 6 pp. 2012

Publisher

Masaryk University

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Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

10101 Pure mathematics

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

printed version "print"

RIV identification code

RIV/00216224:14310/12:00059546

Organization unit

Faculty of Science

ISBN

978-80-210-5778-4

Keywords in English

The Vasicek model; interest rate; maximum likelihood method

Tags

AKR, rivok

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Abstract

V originále

This paper deals with a mathematical model of short-term interest rate, the Vasicek model. First we recall the notions of zero cupon bond and instantaneous rate, then we present the model and derivation of conditional distribution of interest rate. The final part contains an estimation of the Vasicek model parameters and describes the estimation of parameters on real data.